Nonparametric Time Series Modelling

R.J.V. Tschernig

Research output: Chapter in Book/Report/Conference proceedingChapterAcademic


Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Original languageEnglish
Title of host publicationApplied Time Series Econometrics
EditorsH Lütkepohl, M Krätzig
PublisherCambridge University Press
Publication statusPublished - 1 Jan 2004

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